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Shawnxz · 2024年04月07日

为什么不能sell 1.72的call呢？

  1. CFA III
  2. Derivative

NO.PZ2018111501000019

问题如下：

One of the non-EUR currency exposures in the Portfolio is GBP. Aron frequently adjusts his GBP positions based on his short-term tactical outlook. Aron forecasts that the GBP will appreciate by 5% against the USD over the next six months. The current USD/GBP rate is 1.60 (1 GBP = 1.60 USD). Aron is considering the six-month European option positions with the primary objective of increasing his GBP exposure in line with his forecast, and a secondary objective of minimizing the initial cash outlay. Which of the trades below will most likely satisfy Aron’s objectives at expiration?

选项：

A.

Trade 1: Buy call with 1.68 strike, sell call with 1.72 strike.

B.

Trade 2: Buy call with 1.60 strike, sell call with 1.68 strike.

C.

Trade 3: Buy call with 1.60 strike, sell call with 1.72 strike.

解释：

B is correct.

考点：Strategies to Modify Risk and Lower Hedging Costs

解析：预测GBP会增值，所以Buy call with 1.60 strike，未来的增值会使Aron在1.6的现价基础上获益。由于增值幅度为5%， 1.6*（1+5%）=1.68,所以sell call with 1.68 strike可以降低成本。

1.72 更难实现，不是应该卖这个吗？

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pzqa35 · 2024年04月08日

嗨，努力学习的PZer你好：


首先这个option的报价方式是USD/GBP,属于直接报价的形式，那么S0是1.6USD/GBP，预计未来GBP会升值5%，那也就是E(S1)=1.6*1.06=1.68USD/GBP。

其次，对于call option来说，执行价格越低的call 价格越贵，因为实际的资产变动越有可能超过执行价格，从而实现收益。

那么对于这个人来说，他要增加GBP的头寸，首先是要买入1.60的call，但是这个ATM的call价格是比较贵的，所以还需要short call来降低成本。那么1.68的call和1.72的call相比，short 1.68的call期权费更多，同时他预测到未来的价格就是1.68，所以到期权结束时，执行价格=市场价格，对于long方来讲行不行权效果都一样，反正都是要花1.68去买GBP，但是对于short call的人来说，就是在最大限度的获得了一个期权费，所以是选short1.68的call。

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